Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0079
Annualized Std Dev 0.0824
Annualized Sharpe (Rf=0%) 0.0964

Row

Daily Return Statistics

Close
Observations 3049.0000
NAs 1.0000
Minimum -0.0230
Quartile 1 -0.0030
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0031
Maximum 0.0267
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0052
Skewness -0.0946
Kurtosis 1.7737

Downside Risk

Close
Semi Deviation 0.0037
Gain Deviation 0.0033
Loss Deviation 0.0035
Downside Deviation (MAR=210%) 0.0097
Downside Deviation (Rf=0%) 0.0037
Downside Deviation (0%) 0.0037
Maximum Drawdown 0.2042
Historical VaR (95%) -0.0084
Historical ES (95%) -0.0118
Modified VaR (95%) -0.0084
Modified ES (95%) -0.0122
From Trough To Depth Length To Trough Recovery
2011-08-18 2015-11-10 2020-12-17 -0.2042 2350 1065 1285
2009-12-02 2010-06-07 2011-08-15 -0.1542 429 128 301
2021-01-06 2021-03-08 NA -0.0642 52 42 NA
2009-02-10 2009-03-04 2009-03-18 -0.0471 24 16 8
2009-03-20 2009-04-20 2009-05-13 -0.0442 34 19 15

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 -0.7 -0.9 0.4 -0.5 -0.3 0.3 1.6 -1.1 -0.7 0 0.3 -0.1 -1.7
2010 0 -0.5 0.5 0.7 -0.6 1.9 0.1 0.1 0.5 0 0.1 1 3.8
2011 0.7 -0.7 -0.3 0.5 0.1 -0.2 -0.5 -1.4 -0.3 -0.6 -1 1.8 -1.9
2012 1 -2.1 0.6 -0.1 -0.5 1.7 -0.8 0.5 -0.1 -1.6 0 -0.5 -2.1
2013 -0.1 0.1 0.4 0.3 -0.2 1 -0.2 -0.4 0.2 -0.8 0.1 0 0.4
2014 0.2 0.3 0.3 -0.2 0.1 0 0.2 -0.2 -0.2 -0.9 -0.2 -0.2 -0.9
2015 0.4 0.2 0.1 -0.5 -1.1 -0.7 0.4 0.7 0.3 0.1 0.5 -0.1 0.2
2016 0 -0.3 0.5 0.9 0.5 0.8 -0.5 0.3 -0.2 0.4 0.1 0.1 2.8
2017 -0.1 -0.9 0.1 -0.3 -0.1 -0.3 0 0 0.3 -0.3 0.5 0.6 -0.6
2018 0.1 0.6 0.2 -0.6 -0.4 0.8 -0.4 -0.4 -0.4 0.6 -0.2 0.2 0.1
2019 -0.2 -0.2 -0.4 -0.1 0.7 -0.8 0.5 -0.4 0 0.2 0.1 0.1 -0.6
2020 0.5 0.8 -0.2 0.2 0.1 0 -0.6 0.1 0.3 -0.2 0.2 -0.3 0.8
2021 -0.6 0.2 0 NA NA NA NA NA NA NA NA NA -0.3

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart